Hopefully these tips will help you out, and some may be already known.
1) Know your app intimately from an installer/runtime perspective. Or, get someone that really knows it and drag them along kicking/screaming into the thin-apping process.
2) 32bit App on 32bit OS, 32bit App on 64bit OS, 32bit thinapp on 64bit OS, etc... = headache
If you can, use the lowest common supported OS and avoid using default C:\Program Files or C:\Program Files (x86) directories. To sometimes increase your chances of ThinApp success for a 32bit app on 64bit Windows 7 OS... then
3) Try copying missing DLLs like msvbvm60.dll, olepro32.dll to the %SystemSystem% in the capture folder. Your 64bit OS might not have these, the app might need these, and the logs might not show that it is needed. Search the community for these dlls as key words for more info. Again, see POINT 1
4) Try editing the Package.ini before creating the final package. Possibly relavant entries are -
;VirtualizeExternalOutOfProcessCOM=0
;Wow64=0
This may or may not help. Search the forums for additional details on what these do. However, please see POINT 1.
Good luck!